Mostly Rangebound Market?

R

robthequant

What would be the most range bound instrument where price spends most of the time oscillating or slightly trending without frequent sudden sharp moves?

I've put together a decent market making bot and need to find the right market for it.
 
robthequant said:
What would be the most range bound instrument where price spends most of the time oscillating or slightly trending without frequent sudden sharp moves?

I've put together a decent market making bot and need to find the right market for it.
More...

I would figure the ags and softs. How about LE?
 
robthequant said:
What would be the most range bound instrument where price spends most of the time oscillating or slightly trending without frequent sudden sharp moves?

I've put together a decent market making bot and need to find the right market for it.
More...

How were you able to design a bot for rangebound markets without initally testing it on rangebound markets ?

Simply, what rangebound markets did your bot initially worked on ?

By the way...sugar, corn, feeder cattle would be on my list. Yet, the list would change every month...what's rangebound this month may be trending the next month.

wrbtrader
 
Last edited:
wrbtrader said:
How were you able to design a bot for rangebound markets without initally testing it on rangebound markets ?

Simply, what rangebound markets did your bot initially worked on ?

By the way...sugar, corn, feeder cattle would be on my list. Yet, the list would change every month...what's rangebound this month may be trending the next month.

wrbtrader
More...

And then there is always milk futures. Bruhahah.

https://www.barchart.com/futures/quotes/DLH19/interactive-chart

I love picking on milk futures. (But if we ever get hit with BSE in the states, expect an increase in action!)
 
What about /ZB and/or /ZN? On one hand you want it not to move much, on the other you want enough volume to got through levels to make it worthwhile. May not be that easy to find.
 
All markets are rangebound - until they are not.
Assuming you are interested in writing options for income.

It’s a good strategy / until it unloads in your face.
Just be ready (as best you can be) for when it happens.
 
LacesOut said:
All markets are rangebound - until they are not.
Assuming you are interested in writing options for income.

It’s a good strategy / until it unloads in your face.
Just be ready (as best you can be) for when it happens.
More...


Good words of caution. Prices emerging from ranges tend to move dramatically - sudden significant price moves up or down. So living in a range is always going to be subject to nasty surprises.
 
Eurodollars, Bund Futures, Two Year/Five Year Treasuries (until the Fed/ECB does something squirrely and they all blow up for a day/week.)
 
robthequant said:
I've put together a decent market making bot and need to find the right market for it.
More...
It does not really work this way, for what it's worth. You first want to pick the market and then build a market making algo based on the properties of that market. There are large details that matter (like is the order book pro-rata or fifo?) and small details that matter (are there clear leader instruments so you'd get adversely selected by virtue of being slow?).
 
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